Research on Quantitative Trading Strategies Based on the Turtle Trading Rule

Abstract

Quantitative investment is a newer investment method than traditional investment methods, with features such as being free from emotions and being able to access and process large amounts of data quickly. Based on this, this paper selects fuel oil, FU2205, as the underlying for the period from May 31, 2021 to November 30, 2021 to investigate the effectiveness of the turtle trading rule in quantitative trading strategies. In this way, the effectiveness of the turtle trading rule is explored. The article first introduces the background and significance of the study, explains the current research status of several scholars on quantitative investment and the relevant theoretical background, and then conducts relevant tests on the turtle strategy in three parts. In the first part, the principles of the turtle trading strategy are reviewed, and three important steps are introduced: market entry, position addition and exit. In the second part, the turtle trading strategy is modeled, and fuel oil from the commodity futures market is selected as the sample for backtesting from May 31, 2021 to November 30, 2021. Not only does it far exceed the buy-and-hold return, the Sharpe ratio and maximum retracement are also better. Finally, after tuning the parameters of the strategy and increasing the risk ratio of the account, the total return is significantly improved, but since it is impossible to predict whether the strategy will be profitable or not, this suggests that we cannot increase the risk ratio of the account indefinitely and need to keep it in an appropriate range. The article concludes with a further summary of the study findings and provides an outlook.